Modeling Global Wine Markets to 2018: Exchange Rates, Taste Changes, and China's Import Growth

2013 ◽  
Vol 8 (2) ◽  
pp. 131-158 ◽  
Author(s):  
Kym Anderson ◽  
Glyn Wittwer
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Import Demand ◽  
The Other ◽  
Market Participants ◽  
Taste Changes ◽  
Major Development ◽  
Jel Classifications ◽  
Wine Markets

AbstractIn this paper, we use a revised, expanded, and updated version of a global model first developed by Wittwer et al. (2003) to project the wine markets of its 44 countries plus seven residual country groups to 2018. Because real exchange rate (RER) changes have played a key role in the fortunes of wine market participants in some countries in recent years, we use the model to analyze their impact, first retrospectively during 2007–11 and then prospectively during the period to 2018 under two alternative sets of RERs: no change, and a halfway return to 2009 rates. In both scenarios, we assume a return to the gradual trend toward premium wines and away from nonpremium wines. The other major development expected to affect the world's wine trade is growth in China's import demand. Alternative simulations provide a range of possibilities, but even the low-growth scenario suggests that China's place in global wine markets is likely to become increasingly prominent. (JEL Classifications: C53, F11, F17, Q13).

scholarly journals Boom Goes the Price: Giant Resource Discoveries and Real Exchange Rate Appreciation

2020 ◽  
Vol 130 (630) ◽  
pp. 1715-1728 ◽  
Author(s):  
Torfinn Harding ◽  
Radoslaw Stefanski ◽  
Gerhard Toews
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Direct Evidence ◽  
Oil And Gas ◽  
Real Exchange Rates ◽  
Labour Productivity ◽  
Dutch Disease ◽  
The Real ◽  
Traded Goods

Abstract We estimate the effect of giant oil and gas discoveries on bilateral real exchange rates. A giant discovery with the value of 10% of a country’s GDP appreciates the real exchange rate by 1.5% within ten years following the discovery. The appreciation starts before production begins and the non-traded component of the real exchange rate drives the appreciation. Labour reallocates from the traded goods sector to the non-traded goods sector, leading to changes in labour productivity. These findings provide direct evidence on the channels central to the theories of the Dutch disease and the Balassa–Samuelson effect.

scholarly journals Monetary Policy and the Predictability of Nominal Exchange Rates

2020 ◽  
Author(s):  
M S Eichenbaum ◽  
B K Johannsen ◽  
S T Rebelo
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Open Economy ◽  
Real Exchange Rates ◽  
Nominal Exchange Rate ◽  
Medium Size ◽  
Inflation Rates ◽  
Nominal Exchange Rates

Abstract This article studies how the monetary policy regime affects the relative importance of nominal exchange rates and inflation rates in shaping the response of real exchange rates to shocks. We document two facts about inflation-targeting countries. First, the current real exchange rate predicts future changes in the nominal exchange rate. Second, the real exchange rate is a poor predictor of future inflation rates. We estimate a medium-size, open-economy DSGE model that accounts quantitatively for these facts as well as other empirical properties of real and nominal exchange rates. The key estimated shocks that drive the dynamics of exchange rates and their covariance with inflation are disturbances to the foreign demand for dollar-denominated bonds.

scholarly journals Macroeconomic News, Order Flows, and Exchange Rates

2008 ◽  
Vol 43 (2) ◽  
pp. 467-488 ◽  
Author(s):  
Ryan Love ◽  
Richard Payne
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Public Information ◽  
Relevant Information ◽  
Order Flow ◽  
Macroeconomic News ◽  
Market Participants ◽  
Macroeconomic Announcements ◽  
Information Assimilation ◽  
Micro Level

AbstractIn textbook models of exchange rate determination, the news contained in public information announcements is directly impounded into prices with there being no role for trading in this process of information assimilation. This paper directly tests this theoretical result using transaction level exchange rate return and trading data and a sample of scheduled macroeconomic announcements. The main result of the paper is that even information that is publicly and simultaneously released to all market participants is partially impounded into prices via the key micro level price determinant—order flow. We quantify the role that order flow plays and find that approximately one third of price-relevant information is incorporated via the trading process.

scholarly journals Sustainable Exchange Rates When Trade Winds Are Plentiful

2008 ◽  
Vol 204 ◽  
pp. 98-107 ◽  
Author(s):  
Jan Babecký ◽  
Aleš Bulíř ◽  
Kateřina Šmídkova
Keyword(s):  
Foreign Direct Investment ◽  
Exchange Rate ◽  
Exchange Rates ◽  
Direct Investment ◽  
Real Exchange Rates ◽  
Import Demand ◽  
Trade Winds ◽  
Foreign Direct Investment Inflows

Estimation and simulation of sustainable real exchange rates in a sample of EU member countries find vulnerabilities connected to the adoption of the euro if the rate vis-à-vis the euro were to be fixed with weak fundamentals and inappropriate policies. Sample countries have benefited from dramatic improvements in their external positions, in part driven by inflows of foreign direct investment. As a result, exchange rate misalignments have narrowed in most countries and, looking ahead, are expected to narrow further. These results are conditional, however, on optimistic projections with respect to world import demand and foreign direct investment inflows.

scholarly journals A Three-State Markov-Modulated Switching Model for Exchange Rates

2016 ◽  
Vol 2016 ◽  
pp. 1-9 ◽  
Author(s):  
Idowu Oluwasayo Ayodeji
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Markov Switching ◽  
The Other ◽  
Markov Switching Model ◽  
Switching Model ◽  
Empirical Results ◽  
Proposed Model ◽  
Markov Modulated ◽  
Japanese Yen

Several authors have examined the long swings hypothesis in exchange rates using a two-state Markov switching model. This study developed a model to investigate long swings hypothesis in currencies which may exhibit ak-state(k≥2)pattern. The proposed model was then applied to euros, British pounds, Japanese yen, and Nigerian naira. Specification measures such as AIC, BIC, and HIC favoured a three-state pattern in Nigerian naira but a two-state one in the other three currencies. For the period January 2004 to May 2016, empirical results suggested the presence of asymmetric swings in naira and yen and long swings in euros and pounds. In addition, taking0.5as the benchmark for smoothing probabilities, choice models provided a clear reading of the cycle in a manner that is consistent with the realities of the movements in corresponding exchange rate series.

Are the Real Exchange Rates of the New EU Member Countries in Line with Fundamentals? – Implications of the NATREX Approach

2012 ◽  
Vol 232 (2) ◽  
Author(s):  
Michael Frenkel ◽  
Isabell Koske
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Real Exchange Rates ◽  
Oecd Countries ◽  
The Real ◽  
Estimation Strategy ◽  
Limited Availability ◽  
Two Step Estimation ◽  
The Eu

SummaryThis paper derives equilibrium real exchange rates for the EU member countries that joined in 2004 and in 2007. Our analysis is based on the natural real exchange rate approach and uses data for the period 1980-2007. We employ a two-step estimation strategy to deal with the limited availability and reliability of data from these countries. We first estimate the model for a panel of 17 OECD countries and then apply the estimated relationship to the new EU member countries. While the model does not support the appreciation of some of the examined currencies in 2005-2007, the development of several other currencies of the CEECs appears to be fairly in line with our NATREX estimates.

Real Exchange Rate Behavior under Peg: Evidence from the Chinese RMB and Malaysian MYR

2009 ◽  
Vol 12 (01) ◽  
pp. 141-158 ◽  
Author(s):  
Yongjian E ◽  
Anthony Yanxiang Gu ◽  
Chau-Chen Yang
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Real Exchange Rate ◽  
Real Exchange Rates ◽  
Exchange Rate Volatility ◽  
The Us ◽  
Rate Behavior ◽  
Japanese Yen ◽  
Chinese Yuan ◽  
Real Exchange Rate Volatility

The exchange-rate behavior of the Chinese yuan (RMB) and the Malaysian ringgit (MYR) indicates that the real exchange rate volatility of both the pegged currency/the anchor currency (the US dollar), and the pegged currency/the non-anchor currencies (Japanese yen and British pound) are lower under the pegged regime. The dynamic behavior of the pegged currencies' real exchange rates is consistent with the anchor currency as the speed of convergence of the Big Mac real exchange rates of the RMB, MYR, and the dollar against the floating currencies are almost identical during the pegged period. This may be due to similar inflation rate movements in the related economies. These results do not support the opinion that China has manipulated the value of its currency.

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